Asymptotics for a discrete-time risk model with the emphasis on financial risk
Détails
Etat: Public
Version: de l'auteur⸱e
ID Serval
serval:BIB_C0CE68FF57CA
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Asymptotics for a discrete-time risk model with the emphasis on financial risk
Périodique
Probability in the Engineering and Informational Sciences
ISSN
0269-9648 (Print)
1469-8951 (Electronic)
1469-8951 (Electronic)
Statut éditorial
Publié
Date de publication
10/2014
Peer-reviewed
Oui
Volume
28
Numéro
4
Pages
573-588
Langue
anglais
Résumé
This paper focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account. We study the asymptotic behavior of the ruin probability and the tail probability of the aggregate risk amount. Precise asymptotic formulas are derived under weak moment conditions of involved risks. The main novelty of our results lies in the quantification of the impact of the financial risk.
Mots-clé
Ruin probabilities, convolution equivalence, infinite-divisibility, tail probabilities, random-variables, finite-horizon, weighted sums, investments, distributions, insurance
Web of science
Création de la notice
28/01/2014 21:08
Dernière modification de la notice
21/08/2019 7:10
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